Trading with Market Statistics X. Position Trading

[unicorn 10]

I don't know if I will have the time to post more videos on these topics.

 

No need for videos Jerry. They are indeed time consuming.

Plain charts (figures), such as end of day snapshots, and a couple of lines with your comments will do.

 

Take care.

Unicorn.

[shreem 10]

I don't know if I will have the time to post more videos on these topics. Each one takes a considerable amount of my time. I have posted over 15 videos and 10 charts in these threads dealing with market statistics. There is of course considerable room for further expansion. But the basics are here for all to use. When there are topics related to this that I deem important I will make additional posts.

 

Hello dear Jperl, thank for your anwser. I can certainely understand that making these videos should be time consuming a lot. I think the key is to look at them over and over and one can get a very good grasp of their utility.

 

Appreciate all your efforts very much

 

Sincerely

 

Shreem:)

[justlurkin 10]

Hi Jerry.

 

Thanks for all your insight, very much appreciated. I have been able to review most of the videos with the exception of this one on Position Trading. For some reason this is the only video that shows nothing. Is the link broken? Can someone repost as an attachment so I can try again?

 

thanks a million

:missy:

[Soultrader 12]

Hi Jerry.

 

Thanks for all your insight, very much appreciated. I have been able to review most of the videos with the exception of this one on Position Trading. For some reason this is the only video that shows nothing. Is the link broken? Can someone repost as an attachment so I can try again?

 

thanks a million

:missy:

 

I was afraid this was going to happen. A few attachments broke during our upgrade. I was able to recover 99% of them but seems like this one may have been affected. I will see if Jerry can repost this if possible.

[jperl 11]

I was afraid this was going to happen. A few attachments broke during our upgrade. I was able to recover 99% of them but seems like this one may have been affected. I will see if Jerry can repost this if possible.

 

 

Attachment reposted this morning

[justlurkin 10]

Attachment reposted this morning

 

 

Sorry to bother you again but I tried the new attachment and everything worked fine until exactly 12 minutes 0 seconds (in trade as seen on the DOM). After that the video just stopped. I've tried it on two different machines, one with Vista and another with XP.

 

Can someone confirm this? Video is stuck in the trade, no exit! The suspense is killing me.

 

[justlurkin 10]

To be specific Position Trading Video is stuck at Frame 5212 of 6190

 

I also now noticed that HUP Trading Video is also stuck, at Frame 5797 of 6172

 

I have no problems with any other videos.

 

 

thanks

[jperl 11]

To be specific Position Trading Video is stuck at Frame 5212 of 6190

 

I also now noticed that HUP Trading Video is also stuck, at Frame 5797 of 6172

 

I have no problems with any other videos.

 

 

thanks

 

JustLurkin, thanks for the heads up on this. I've reported the problem to James.

[justlurkin 10]

In the meantime, if you have any other format of the same 2 videos, I'd like to try those, if you don't mind.

 

thanks

 

:pc guru:

[jperl 11]

In the meantime, if you have any other format of the same 2 videos, I'd like to try those, if you don't mind.

 

thanks

 

:pc guru:

 

Sorry justlurkin, I don't. It's not a format problem. I checked the swf file on my machine. Runs fine. So I reuploaded it. Problem still persists. Appears to be at TradersLaboratory's end.

James is working on it.

[justlurkin 10]

Sorry justlurkin, I don't. It's not a format problem. I checked the swf file on my machine. Runs fine. So I reuploaded it. Problem still persists. Appears to be at TradersLaboratory's end.

James is working on it.

 

Understood. Will wait for an update from James. Thanks.

[justlurkin 10]

For what its worth, both files are exactly 16384KB in size. It would seem that there may be a limit where the excess is truncated on the site somehow. The attachment link shows larger than this size. Exactly 0xFFFFFF is highly unlikely for both files.

[Soultrader 12]

Hi guys,

 

To resolve this issue, I have built a filehosting system directly into our site. Please use the top navigation button "File Share" for uploading of any large files up to 40mb. This should solve any future issues. Thanks

[justlurkin 10]

Hi guys,

 

To resolve this issue, I have built a filehosting system directly into our site. Please use the top navigation button "File Share" for uploading of any large files up to 40mb. This should solve any future issues. Thanks

 

Thanks James.

 

Jerry, I think you'll need to re-upload the last 2 videos using file share. It will give you a link to cut and paste here so we can download them.

[jperl 11]

Jerry, I think you'll need to re-upload the last 2 videos using file share. It will give you a link to cut and paste here so we can download them.

 

Done. Files uploaded using fileshare

[justlurkin 10]

Thanks Jerry, downloaded and viewed, looks good.

[VolumeJedi 10]

Just wanted to show a nice set-up via Jperl's position trading idea.

 

The first chart simply shows the volume distribution for Friday. You can see that it does appear to be symmetrical. This is confirmed when we look at the second chart and find the VWAP and the PVP are equal. On the second chart the PVP is in yellow and the VWAP aqua. If you look closely, you can see the yellow of the PVP label, but the line cannot be seen- it's underneath the aqua.

 

Let's look at the set up using what we have learned.

 

1. Since the day ended with a symmetrical distribution, we know that for this to continue price must trade down to (and possibly below) the VWAP. Therefore our trade idea would be to trade towards the VWAP. As price is above the VWAP, this would be a short trade and a counter trend trade.

 

2. As it happens price has closed at the 1st SD of the VWAP. Leaving the VSA out of the mix, we can see that the last bar is an up bar that trades thru the 1st SD. According to the Shapiro Effect, we could therefore go short on the first bar that trades lower than the low of this bar. Our Price target would be the VWAP/PVP.

 

3. If price moves up, we would still be predisposed to take a short trade at the 2nd SD. Again, if the distribution is going to remain symmetrical (and there is really nothing that says it must) price needs to trade down to the VWAP. More exactly, for the VWAP and the PVP to remain equal, price has to trade down to the VWAP.

 

There are 2 places where this trade can play out. The "soft" open. This is the open when the market starts trading again on Sunday night. The other place is the "hard" open, which is around 0200 EST when London comes on line for the week.

 

If I understand correctly, the place for a stop would be somewhere above the 2nd SD. This is because the trade is still valid at the 2nd SD. Personally, I do not like that. There is another HUP just above the 1st SD: the 2nd standard deviation of a 3 day VWAP. This is where I would place my stop.

 

I will just note that while it is hard to interpret the last few bars of a Friday, we do see low volume up bars and a squat. The last bar on the chart is No Demand and this looks good with what the statistics might be pointing to.

 

If you were to be trading multiple contracts, you would want to take some off at the WVAP and then hold some whith an eye towards the 1st SD below the VWAP. If price moves up to the 2nd SD first, you would want take some off at the VWAP and target the 2nd SD below the VWAP as you ultimate target.

 

Hopefully, Jperl will let me know if I have this correct.

[VolumeJedi 10]

...There are 2 places where this trade can play out. The "soft" open. This is the open when the market starts trading again on Sunday night. The other place is the "hard" open, which is around 0200 EST when London comes on line for the week.....

 

Results:

 

As the Forex traders amongst you know, the "soft" open or low volume time of the Sunday evening open is really not a good time to be trading. The London open has much more volume is when the BBs really come into the market. With that said, here is how things worked on the soft:

 

Chart 1

 

We opened up and were not brought in to the market at SD1. Eventually we get an entry at SD2. This comes after we see some supply enter at SD3. But that is VSA so pay no attention to that. An entry at this point doe lead to us being stopped out.

 

 

Chart 2

 

The "hard" open. The hard open is when London starts trading. It is usually at 0200 EST but sometimes we observe increasing volume prior to that time which serves to alert us the BBs have come to play. Note on this chart that we have a pure Shapiro Effect entry about 8 minutes before the 0200 hour. Our stop is placed at SD3d3 which is the third standard deviation above a three day VWAP.

 

Chart 3

 

It does take some time, which is why Jperl calls them position trades I believe, but our profit target is hit roughly 100 pips later.

 

If you were starting your day with the "hard" open, then you would of course only have made this trade. Depending on the number of contracts, you could take some off the table here and hold some on for a possible move down to SD-1. And again, if the distribution is going to remain symmetrical, then a move down to SD-2 would be in order.

 

**Having trouble attaching files at the moment**

Edited January 19, 2009 by VolumeJedi
attempting to add files

[VolumeJedi 10]

I still can't seem to get the attachments button to work. I click on manage attachments and get an error on page icon on the bottom leftside of the screen.

[tradepro 10]

Hi Jerry,

 

If you set up the previous days chart with the volume distribution and vwap could you also set up a current day that is developing, lets say a 1 minute chart with Vol dist and vwap along side? This way if price is coming back to the vwap would't the current developing 1minute chart already show a negative skew and you can get in sooner?

 

Thanks,

 

tradepro

[jperl 11]

If you set up the previous days chart with the volume distribution and vwap could you also set up a current day that is developing, lets say a 1 minute chart with Vol dist and vwap along side? This way if price is coming back to the vwap would't the current developing 1minute chart already show a negative skew and you can get in sooner?

 

Thanks,

 

tradepro

 

Indeed you can tradepro. It is to your advantage to have previous days VWAP and SD's on todays developing distribution. This is discussed in some detail in the HUP thread.

The problem of course is how many HUP lines do you want to deal with. Too many HUP lines will simply confuse you.

[TheAnalyst13 10]

Jerry, thanks for your wonderful thread. i have been using market statistics and I am learning everyday since I started reading your thread. I have a few problems though that I was wondering if you can answer me.

I use Zenfire with Ninjatrader and there are two VWAP indicators that have been programmed and are avaiable for everybody. My problem is when I change the interval on the chart from let's say 30 min to 5 min, or 1 min that the VWAP changes value and as far as I undestand that should not be the case right? The second thing is that my PVP changes as well when I change the interval. So I just wanted to confirm with you that this should not be the case and I got a problem then and cannot trade with this tools right?

 

Thanks, M.

[tradepro 10]

Thanks Jerry,

 

You're the best! If ever coming across the lake to Toronto the steak is on me.

 

tradepro

[ochie 10]

Id like to offer a thought if it’s ok. Correct, the values should not change when changing intervals If the start time remains the same. Check where the plot starts on the smaller intervals (more bars on chart) and see if the start time differs.

[jperl 11]

I use Zenfire with Ninjatrader and there are two VWAP indicators that have been programmed and are avaiable for everybody. My problem is when I change the interval on the chart from let's say 30 min to 5 min, or 1 min that the VWAP changes value and as far as I undestand that should not be the case right? The second thing is that my PVP changes as well when I change the interval. So I just wanted to confirm with you that this should not be the case and I got a problem then and cannot trade with this tools right?

 

Thanks, M.

 

The most likely problem is the approximation used to compute the VWAP as well as the histogram. Ideally, the VWAP should be computed from data for every trade. In practice this is not done. As a good approximation, the VWAP is computed from the price of every bar and its volume. The error in this approximation gets larger the larger the time frame of the chart. As the time frame of the chart gets smaller, the error diminishes. So if you compare a 30 min, with a 5 min and 1 min chart you should see the VWAP converging to the "correct" value.